You're correct. Most sites will not approve comments with links in the actual comment, and most don't care much about having it in the URL box. Of course you can always try both ways and see what works for you.
Just a tip for blog commenting: Do it in moderation, and make sure you're adding to the conversation and giving value. Leaving comments like "thanks for the share!" are pointless and have less of a chance of getting approved. Take the time to read or at least skim through the blog post you're commenting on and leave something constructive in the comments. You'll get much better results and you might even bring in some traffic because it makes you look good and knowledgeable about the subject.
Good luck!